Yes, it is working. Users you have blocked cannot comment on anything you post UNLESS you post anonymously.
I have been told that this is to maintain users' privacy. For example, if you have only blocked one or a few people, if they cannot comment on your anonymous post, then it's likely they will be able to figure out it's you. As long as you don't go anonymous, users you have blocked cannot do anything.
You can also block their activity from showing in your LiveFeed. If you go to your profile settings you should see a box that says "hide activity from users I blocked" and when that box is checked, you will no longer see their activity on the site in your LiveFeed.